Quadratic variation and quadratic roughness (Q2108492)

The paper studies the concept of pathwise quadratic variation of a continuous path along a sequence of partitions in the sense of H. Föllmer. To derive sufficient conditions for the stability of pathwise quadratic variation with respect to the choice of sequences of partitions, the authors introduce the concept of so-called quadratic roughness. Loosely speaking, their novel irregularity concept requires cross-products of increments along the partitions to average to zero at certain scales. The first main result of the paper is that the quadratic roughness property is satisfied almost surely by Brownian sample paths. The second main result is an invariance theorem for pathwise quadratic variation, that is, for Hölder continuous paths satisfying quadratic roughness, the quadratic variation along balanced partitions is invariant with respect to the choice of sequences of partitions. Consequently, this leads to an invariant definition of pathwise quadratic variation and a robust formulation of pathwise Föllmer-Itô calculus for such irregular paths. Moreover, the authors prove an invarience result for pathwise local times of continuous paths satisfying quadratic roughness.